statsmodels.py

"""
The ``mlflow.statsmodels`` module provides an API for logging and loading statsmodels models.
This module exports statsmodels models with the following flavors:

statsmodels (native) format
    This is the main flavor that can be loaded back into statsmodels, which relies on pickle
    internally to serialize a model.
:py:mod:`mlflow.pyfunc`
    Produced for use by generic pyfunc-based deployment tools and batch inference.

.. _statsmodels.base.model.Results:
    https://www.statsmodels.org/stable/_modules/statsmodels/base/model.html#Results

"""
import logging
import os
import yaml

import mlflow
from mlflow import pyfunc
from mlflow.models import Model
from mlflow.models.model import MLMODEL_FILE_NAME
from mlflow.models.signature import ModelSignature
from mlflow.models.utils import ModelInputExample, _save_example
from mlflow.tracking.artifact_utils import _download_artifact_from_uri
from mlflow.utils.environment import (
    _mlflow_conda_env,
    _validate_env_arguments,
    _process_pip_requirements,
    _process_conda_env,
    _CONDA_ENV_FILE_NAME,
    _REQUIREMENTS_FILE_NAME,
    _CONSTRAINTS_FILE_NAME,
    _PYTHON_ENV_FILE_NAME,
    _PythonEnv,
)
from mlflow.utils.requirements_utils import _get_pinned_requirement
from mlflow.utils.file_utils import write_to
from mlflow.utils.docstring_utils import format_docstring, LOG_MODEL_PARAM_DOCS
from mlflow.utils.model_utils import (
    _get_flavor_configuration,
    _validate_and_copy_code_paths,
    _add_code_from_conf_to_system_path,
    _validate_and_prepare_target_save_path,
)
from mlflow.exceptions import MlflowException
from mlflow.utils.autologging_utils import (
    log_fn_args_as_params,
    autologging_integration,
    safe_patch,
    get_autologging_config,
)
from mlflow.utils.validation import _is_numeric

import itertools
import inspect
from mlflow.tracking._model_registry import DEFAULT_AWAIT_MAX_SLEEP_SECONDS


FLAVOR_NAME = "statsmodels"
STATSMODELS_DATA_SUBPATH = "model.statsmodels"

_logger = logging.getLogger(__name__)


def get_default_pip_requirements():
    """
    :return: A list of default pip requirements for MLflow Models produced by this flavor.
             Calls to :func:`save_model()` and :func:`log_model()` produce a pip environment
             that, at minimum, contains these requirements.
    """
    return [_get_pinned_requirement("statsmodels")]


def get_default_conda_env():
    """
    :return: The default Conda environment for MLflow Models produced by calls to
             :func:`save_model()` and :func:`log_model()`.
    """
    return _mlflow_conda_env(additional_pip_deps=get_default_pip_requirements())


_model_size_threshold_for_emitting_warning = 100 * 1024 * 1024  # 100 MB


_save_model_called_from_autolog = False


@format_docstring(LOG_MODEL_PARAM_DOCS.format(package_name=FLAVOR_NAME))
def save_model(
    statsmodels_model,
    path,
    conda_env=None,
    code_paths=None,
    mlflow_model=None,
    remove_data: bool = False,
    signature: ModelSignature = None,
    input_example: ModelInputExample = None,
    pip_requirements=None,
    extra_pip_requirements=None,
    metadata=None,
):
    """
    Save a statsmodels model to a path on the local file system.

    :param statsmodels_model: statsmodels model (an instance of `statsmodels.base.model.Results`_)
                              to be saved.
    :param path: Local path where the model is to be saved.
    :param conda_env: {{ conda_env }}
    :param code_paths: A list of local filesystem paths to Python file dependencies (or directories
                       containing file dependencies). These files are *prepended* to the system
                       path when the model is loaded.
    :param mlflow_model: :py:mod:`mlflow.models.Model` this flavor is being added to.
    :param remove_data: bool. If False (default), then the instance is pickled without changes.
                        If True, then all arrays with length nobs are set to None before
                        pickling. See the remove_data method.
                        In some cases not all arrays will be set to None.

    :param signature: :py:class:`ModelSignature <mlflow.models.ModelSignature>`
                      describes model input and output :py:class:`Schema <mlflow.types.Schema>`.
                      The model signature can be :py:func:`inferred <mlflow.models.infer_signature>`
                      from datasets with valid model input (e.g. the training dataset with target
                      column omitted) and valid model output (e.g. model predictions generated on
                      the training dataset), for example:

                      .. code-block:: python

                        from mlflow.models.signature import infer_signature

                        train = df.drop_column("target_label")
                        predictions = ...  # compute model predictions
                        signature = infer_signature(train, predictions)
    :param input_example: Input example provides one or several instances of valid
                          model input. The example can be used as a hint of what data to feed the
                          model. The given example will be converted to a Pandas DataFrame and then
                          serialized to json using the Pandas split-oriented format. Bytes are
                          base64-encoded.
    :param pip_requirements: {{ pip_requirements }}
    :param extra_pip_requirements: {{ extra_pip_requirements }}
    :param metadata: Custom metadata dictionary passed to the model and stored in the MLmodel file.

                     .. Note:: Experimental: This parameter may change or be removed in a future
                                             release without warning.
    """
    import statsmodels

    _validate_env_arguments(conda_env, pip_requirements, extra_pip_requirements)

    path = os.path.abspath(path)
    _validate_and_prepare_target_save_path(path)
    model_data_path = os.path.join(path, STATSMODELS_DATA_SUBPATH)
    code_dir_subpath = _validate_and_copy_code_paths(code_paths, path)

    if mlflow_model is None:
        mlflow_model = Model()
    if signature is not None:
        mlflow_model.signature = signature
    if input_example is not None:
        _save_example(mlflow_model, input_example, path)
    if metadata is not None:
        mlflow_model.metadata = metadata

    # Save a statsmodels model
    statsmodels_model.save(model_data_path, remove_data)
    if _save_model_called_from_autolog and not remove_data:
        saved_model_size = os.path.getsize(model_data_path)
        if saved_model_size >= _model_size_threshold_for_emitting_warning:
            _logger.warning(
                "The fitted model is larger than "
                f"{_model_size_threshold_for_emitting_warning // (1024 * 1024)} MB, "
                f"saving it as artifacts is time consuming.\n"
                "To reduce model size, use `mlflow.statsmodels.autolog(log_models=False)` and "
                "manually log model by "
                '`mlflow.statsmodels.log_model(model, remove_data=True, artifact_path="model")`'
            )

    pyfunc.add_to_model(
        mlflow_model,
        loader_module="mlflow.statsmodels",
        data=STATSMODELS_DATA_SUBPATH,
        conda_env=_CONDA_ENV_FILE_NAME,
        python_env=_PYTHON_ENV_FILE_NAME,
        code=code_dir_subpath,
    )
    mlflow_model.add_flavor(
        FLAVOR_NAME,
        statsmodels_version=statsmodels.__version__,
        data=STATSMODELS_DATA_SUBPATH,
        code=code_dir_subpath,
    )
    mlflow_model.save(os.path.join(path, MLMODEL_FILE_NAME))

    if conda_env is None:
        if pip_requirements is None:
            default_reqs = get_default_pip_requirements()
            # To ensure `_load_pyfunc` can successfully load the model during the dependency
            # inference, `mlflow_model.save` must be called beforehand to save an MLmodel file.
            inferred_reqs = mlflow.models.infer_pip_requirements(
                path,
                FLAVOR_NAME,
                fallback=default_reqs,
            )
            default_reqs = sorted(set(inferred_reqs).union(default_reqs))
        else:
            default_reqs = None
        conda_env, pip_requirements, pip_constraints = _process_pip_requirements(
            default_reqs,
            pip_requirements,
            extra_pip_requirements,
        )
    else:
        conda_env, pip_requirements, pip_constraints = _process_conda_env(conda_env)

    with open(os.path.join(path, _CONDA_ENV_FILE_NAME), "w") as f:
        yaml.safe_dump(conda_env, stream=f, default_flow_style=False)

    # Save `constraints.txt` if necessary
    if pip_constraints:
        write_to(os.path.join(path, _CONSTRAINTS_FILE_NAME), "\n".join(pip_constraints))

    # Save `requirements.txt`
    write_to(os.path.join(path, _REQUIREMENTS_FILE_NAME), "\n".join(pip_requirements))

    _PythonEnv.current().to_yaml(os.path.join(path, _PYTHON_ENV_FILE_NAME))


@format_docstring(LOG_MODEL_PARAM_DOCS.format(package_name=FLAVOR_NAME))
def log_model(
    statsmodels_model,
    artifact_path,
    conda_env=None,
    code_paths=None,
    registered_model_name=None,
    remove_data: bool = False,
    signature: ModelSignature = None,
    input_example: ModelInputExample = None,
    await_registration_for=DEFAULT_AWAIT_MAX_SLEEP_SECONDS,
    pip_requirements=None,
    extra_pip_requirements=None,
    metadata=None,
    **kwargs,
):
    """
    Log a statsmodels model as an MLflow artifact for the current run.

    :param statsmodels_model: statsmodels model (an instance of `statsmodels.base.model.Results`_)
                              to be saved.
    :param artifact_path: Run-relative artifact path.
    :param conda_env: {{ conda_env }}
    :param code_paths: A list of local filesystem paths to Python file dependencies (or directories
                       containing file dependencies). These files are *prepended* to the system
                       path when the model is loaded.
    :param registered_model_name: If given, create a model version under
                                  ``registered_model_name``, also creating a registered model if one
                                  with the given name does not exist.

    :param remove_data: bool. If False (default), then the instance is pickled without changes.
                        If True, then all arrays with length nobs are set to None before
                        pickling. See the remove_data method.
                        In some cases not all arrays will be set to None.

    :param signature: :py:class:`ModelSignature <mlflow.models.ModelSignature>`
                      describes model input and output :py:class:`Schema <mlflow.types.Schema>`.
                      The model signature can be :py:func:`inferred <mlflow.models.infer_signature>`
                      from datasets with valid model input (e.g. the training dataset with target
                      column omitted) and valid model output (e.g. model predictions generated on
                      the training dataset), for example:

                      .. code-block:: python

                        from mlflow.models.signature import infer_signature

                        train = df.drop_column("target_label")
                        predictions = ...  # compute model predictions
                        signature = infer_signature(train, predictions)
    :param input_example: Input example provides one or several instances of valid
                          model input. The example can be used as a hint of what data to feed the
                          model. The given example will be converted to a Pandas DataFrame and then
                          serialized to json using the Pandas split-oriented format. Bytes are
                          base64-encoded.
    :param await_registration_for: Number of seconds to wait for the model version to finish
                            being created and is in ``READY`` status. By default, the function
                            waits for five minutes. Specify 0 or None to skip waiting.
    :param pip_requirements: {{ pip_requirements }}
    :param extra_pip_requirements: {{ extra_pip_requirements }}
    :param metadata: Custom metadata dictionary passed to the model and stored in the MLmodel file.

                     .. Note:: Experimental: This parameter may change or be removed in a future
                                             release without warning.
    :return: A :py:class:`ModelInfo <mlflow.models.model.ModelInfo>` instance that contains the
             metadata of the logged model.
    """
    return Model.log(
        artifact_path=artifact_path,
        flavor=mlflow.statsmodels,
        registered_model_name=registered_model_name,
        statsmodels_model=statsmodels_model,
        conda_env=conda_env,
        code_paths=code_paths,
        signature=signature,
        input_example=input_example,
        await_registration_for=await_registration_for,
        remove_data=remove_data,
        pip_requirements=pip_requirements,
        extra_pip_requirements=extra_pip_requirements,
        metadata=metadata,
        **kwargs,
    )


def _load_model(path):
    import statsmodels.iolib.api as smio

    return smio.load_pickle(path)


def _load_pyfunc(path):
    """
    Load PyFunc implementation. Called by ``pyfunc.load_model``.

    :param path: Local filesystem path to the MLflow Model with the ``statsmodels`` flavor.
    """
    return _StatsmodelsModelWrapper(_load_model(path))


def load_model(model_uri, dst_path=None):
    """
    Load a statsmodels model from a local file or a run.

    :param model_uri: The location, in URI format, of the MLflow model. For example:

                      - ``/Users/me/path/to/local/model``
                      - ``relative/path/to/local/model``
                      - ``s3://my_bucket/path/to/model``
                      - ``runs:/<mlflow_run_id>/run-relative/path/to/model``

                      For more information about supported URI schemes, see
                      `Referencing Artifacts <https://www.mlflow.org/docs/latest/tracking.html#
                      artifact-locations>`_.
    :param dst_path: The local filesystem path to which to download the model artifact.
                     This directory must already exist. If unspecified, a local output
                     path will be created.

    :return: A statsmodels model (an instance of `statsmodels.base.model.Results`_).
    """
    local_model_path = _download_artifact_from_uri(artifact_uri=model_uri, output_path=dst_path)
    flavor_conf = _get_flavor_configuration(model_path=local_model_path, flavor_name=FLAVOR_NAME)
    _add_code_from_conf_to_system_path(local_model_path, flavor_conf)
    statsmodels_model_file_path = os.path.join(
        local_model_path, flavor_conf.get("data", STATSMODELS_DATA_SUBPATH)
    )
    return _load_model(path=statsmodels_model_file_path)


class _StatsmodelsModelWrapper:
    def __init__(self, statsmodels_model):
        self.statsmodels_model = statsmodels_model

    def predict(self, dataframe):
        from statsmodels.tsa.base.tsa_model import TimeSeriesModel

        model = self.statsmodels_model.model
        if isinstance(model, TimeSeriesModel):
            # Assume the inference dataframe has columns "start" and "end", and just one row
            # TODO: move this to a specific mlflow.statsmodels.tsa flavor? Time series models
            # often expect slightly different arguments to make predictions
            if dataframe.shape[0] != 1 or not (
                "start" in dataframe.columns and "end" in dataframe.columns
            ):
                raise MlflowException(
                    "prediction dataframes for a TimeSeriesModel must have exactly one row"
                    + " and include columns called start and end"
                )

            start_date = dataframe["start"][0]
            end_date = dataframe["end"][0]
            return self.statsmodels_model.predict(start=start_date, end=end_date)
        else:
            return self.statsmodels_model.predict(dataframe)


class AutologHelpers:
    # Autologging should be done only in the fit function called by the user, but not
    # inside other internal fit functions
    should_autolog = True


# Currently we only autolog basic metrics
_autolog_metric_allowlist = [
    "aic",
    "bic",
    "centered_tss",
    "condition_number",
    "df_model",
    "df_resid",
    "ess",
    "f_pvalue",
    "fvalue",
    "llf",
    "mse_model",
    "mse_resid",
    "mse_total",
    "rsquared",
    "rsquared_adj",
    "scale",
    "ssr",
    "uncentered_tss",
]


def _get_autolog_metrics(fitted_model):
    result_metrics = {}

    failed_evaluating_metrics = set()
    for metric in _autolog_metric_allowlist:
        try:
            if hasattr(fitted_model, metric):
                metric_value = getattr(fitted_model, metric)
                if _is_numeric(metric_value):
                    result_metrics[metric] = metric_value
        except Exception:
            failed_evaluating_metrics.add(metric)

    if len(failed_evaluating_metrics) > 0:
        _logger.warning(
            f"Failed to autolog metrics: {', '.join(sorted(failed_evaluating_metrics))}."
        )
    return result_metrics


@autologging_integration(FLAVOR_NAME)
def autolog(
    log_models=True,
    disable=False,
    exclusive=False,
    disable_for_unsupported_versions=False,
    silent=False,
    registered_model_name=None,
):  # pylint: disable=unused-argument
    """
    Enables (or disables) and configures automatic logging from statsmodels to MLflow.
    Logs the following:

    - allowlisted metrics returned by method `fit` of any subclass of
      statsmodels.base.model.Model, the allowlisted metrics including: {autolog_metric_allowlist}
    - trained model.
    - an html artifact which shows the model summary.


    :param log_models: If ``True``, trained models are logged as MLflow model artifacts.
                       If ``False``, trained models are not logged.
                       Input examples and model signatures, which are attributes of MLflow models,
                       are also omitted when ``log_models`` is ``False``.
    :param disable: If ``True``, disables the statsmodels autologging integration. If ``False``,
                    enables the statsmodels autologging integration.
    :param exclusive: If ``True``, autologged content is not logged to user-created fluent runs.
                      If ``False``, autologged content is logged to the active fluent run,
                      which may be user-created.
    :param disable_for_unsupported_versions: If ``True``, disable autologging for versions of
                      statsmodels that have not been tested against this version of the MLflow
                      client or are incompatible.
    :param silent: If ``True``, suppress all event logs and warnings from MLflow during statsmodels
                   autologging. If ``False``, show all events and warnings during statsmodels
                   autologging.
    :param registered_model_name: If given, each time a model is trained, it is registered as a
                                  new model version of the registered model with this name.
                                  The registered model is created if it does not already exist.
    """
    import statsmodels

    # Autologging depends on the exploration of the models class tree within the
    # `statsmodels.base.models` module. In order to load / access this module, the
    # `statsmodels.api` module must be imported
    import statsmodels.api  # pylint: disable=unused-import

    def find_subclasses(klass):
        """
        Recursively return a (non-nested) list of the class object and all its subclasses
        :param klass: the class whose class subtree we want to retrieve
        :return: a list of classes that includes the argument in the first position
        """
        subclasses = klass.__subclasses__()
        if subclasses:
            subclass_lists = [find_subclasses(c) for c in subclasses]
            chain = itertools.chain.from_iterable(subclass_lists)
            result = [klass] + list(chain)
            return result
        else:
            return [klass]

    def overrides(klass, function_name):
        """
        Returns True when the class passed as first argument overrides the function_name
        Based on https://stackoverflow.com/a/62303206/5726057
        :param klass: the class we are inspecting
        :param function_name: a string with the name of the method we want to check overriding
        :return:
        """
        try:
            superclass = inspect.getmro(klass)[1]
            overridden = getattr(klass, function_name) is not getattr(superclass, function_name)
            return overridden
        except (IndexError, AttributeError):
            return False

    def patch_class_tree(klass):
        """
        Patches all subclasses that override any auto-loggable method via monkey patching using
        the gorilla package, taking the argument as the tree root in the class hierarchy. Every
        auto-loggable method found in any of the subclasses is replaced by the patched version.
        :param klass: root in the class hierarchy to be analyzed and patched recursively
        """

        # TODO: add more autologgable methods here (e.g. fit_regularized, from_formula, etc)
        # See https://www.statsmodels.org/dev/api.html
        autolog_supported_func = {"fit": wrapper_fit}
        glob_subclasses = set(find_subclasses(klass))

        # Create a patch for every method that needs to be patched, i.e. those
        # which actually override an autologgable method
        patches_list = [
            # Link the patched function with the original via a local variable in the closure
            # to allow invoking superclass methods in the context of the subclass, and not
            # losing the trace of the true original method
            (clazz, method_name, wrapper_func)
            for clazz in glob_subclasses
            for (method_name, wrapper_func) in autolog_supported_func.items()
            if overrides(clazz, method_name)
        ]

        for clazz, method_name, patch_impl in patches_list:
            safe_patch(FLAVOR_NAME, clazz, method_name, patch_impl, manage_run=True)

    def wrapper_fit(original, self, *args, **kwargs):
        should_autolog = False
        if AutologHelpers.should_autolog:
            AutologHelpers.should_autolog = False
            should_autolog = True

        try:
            if should_autolog:
                # This may generate warnings due to collisions in already-logged param names
                log_fn_args_as_params(original, args, kwargs)

            # training model
            model = original(self, *args, **kwargs)

            if should_autolog:
                # Log the model
                if get_autologging_config(FLAVOR_NAME, "log_models", True):
                    global _save_model_called_from_autolog
                    _save_model_called_from_autolog = True
                    registered_model_name = get_autologging_config(
                        FLAVOR_NAME, "registered_model_name", None
                    )
                    try:
                        log_model(
                            model,
                            artifact_path="model",
                            registered_model_name=registered_model_name,
                        )
                    finally:
                        _save_model_called_from_autolog = False

                # Log the most common metrics
                if isinstance(model, statsmodels.base.wrapper.ResultsWrapper):
                    metrics_dict = _get_autolog_metrics(model)
                    mlflow.log_metrics(metrics_dict)

                    model_summary = model.summary().as_text()
                    mlflow.log_text(model_summary, "model_summary.txt")

            return model

        finally:
            # Clean the shared flag for future calls in case it had been set here ...
            if should_autolog:
                AutologHelpers.should_autolog = True

    patch_class_tree(statsmodels.base.model.Model)


if autolog.__doc__ is not None:
    autolog.__doc__ = autolog.__doc__.format(
        autolog_metric_allowlist=", ".join(_autolog_metric_allowlist)
    )